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Communication matters: US monetary policy and commodity price volatility

Bernd Hayo (), Ali Kutan () and Matthias Neuenkirch ()

Economics Letters, 2012, vol. 117, issue 1, 247-249

Abstract: We analyze the influence of US monetary policy on commodity price volatility. Expected target rate changes and communications decrease volatility, whereas target rate surprises and unorthodox measures increase it. The “calming” effect of communication is reduced during the financial crisis.

Keywords: Central bank communication; Commodities; Federal Reserve; Monetary policy; Price volatility (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 Q10 Q40 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Communication Matters: U.S. Monetary Policy and Commodity Price Volatility (2011) Downloads
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DOI: 10.1016/j.econlet.2012.05.018

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Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:247-249